ASHOKLEY Options

Date: 27Aug2015 Expiry date: 27Aug2015

Underlying Price: 91.5 Trading Days to Expiry: 1.0 Risk Free Interest Rate: 7%

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Call Options
Strike Price Option Price Implied Volatility Open Interest Number of Contracts Delta Theta Gamma Vega Rho Black Scholes Price
57.5 21.05 52.8597264789 12000.0 3.0 1.0 -0.02 0.0 0.0 0.23 34.02
60.0 30.5 53.0 8000.0 6.0 1.0 -0.02 0.0 0.0 0.24 31.52
70.0 20.85 53.0 80000.0 6.0 1.0 -0.02 0.0 0.0 0.28 21.52
75.0 17.0 53.0 168000.0 16.0 1.0 -0.02 0.0 0.0 0.3 16.52
77.5 14.05 53.0 56000.0 5.0 1.0 -0.02 0.0 0.0 0.31 14.02
80.0 11.4 53.0 404000.0 65.0 1.0 -0.02 3e-05 0.001 0.32 11.52
82.5 8.45 52.8597264789 284000.0 25.0 0.999 -0.03 0.00096 0.017 0.33 9.02
85.0 6.35 53.0 1412000.0 456.0 0.987 -0.07 0.0107 0.188 0.33 6.54
87.5 3.5 52.8597264789 1168000.0 378.0 0.914 -0.26 0.05142 0.903 0.32 4.15
90.0 1.25 52.8597264789 1788000.0 4082.0 0.699 -0.55 0.11431 2.008 0.25 2.12
92.5 0.05 14.5 2368000.0 1891.0 0.382 -0.59 0.12514 2.198 0.14 0.8
95.0 0.05 37.0 3932000.0 999.0 0.135 -0.33 0.07133 1.253 0.05 0.21
97.5 0.05 56.0 2012000.0 86.0 0.03 -0.1 0.02227 0.391 0.01 0.03
100.0 0.05 74.0 4952000.0 40.0 0.004 -0.02 0.00399 0.07 0.0 0.0
102.5 0.05 91.0 2024000.0 4.0 0.0 -0.0 0.00043 0.007 0.0 0.0
105.0 0.05 52.8597264789 2736000.0 4.0 0.0 -0.0 3e-05 0.0 0.0 0.0
107.5 0.05 52.8597264789 840000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0

Put Options
Strike Price Option Price Implied Volatility Open Interest Number of Contracts Delta Theta Gamma Vega Rho Black Scholes Price
70.0 0.05 52.8597264789 592000.0 4.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
75.0 0.05 52.8597264789 1412000.0 15.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
77.5 0.05 52.8597264789 740000.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 52.8597264789 3372000.0 137.0 -0.0 -0.0 3e-05 0.001 -0.0 0.0
82.5 0.05 86.0 980000.0 37.0 -0.001 -0.0 0.00096 0.017 -0.0 0.0
85.0 0.05 65.0 3064000.0 1417.0 -0.013 -0.05 0.0107 0.188 -0.0 0.01
87.5 0.05 43.0 1536000.0 760.0 -0.086 -0.24 0.05142 0.903 -0.03 0.12
90.0 0.1 25.0 1952000.0 1896.0 -0.301 -0.52 0.11431 2.008 -0.11 0.59
92.5 1.15 25.0 292000.0 114.0 -0.618 -0.56 0.12514 2.198 -0.23 1.77
95.0 3.45 48.0 544000.0 180.0 -0.865 -0.31 0.07133 1.253 -0.33 3.68
97.5 6.1 53.0 204000.0 29.0 -0.97 -0.08 0.02227 0.391 -0.38 6.01
100.0 8.3 53.0 172000.0 22.0 -0.996 0.01 0.00399 0.07 -0.4 8.48

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